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Publication : Lionel Martellini & Volker Ziemann : Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection


Lionel Martellini & Volker Ziemann (Novembre 2007), " Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection ", Centre de recherche EDHEC Risk & Asset Management, EDHEC Working Paper.

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Résumé


In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution. This paper expands on existing literature, which has focused mostly on the covariance matrix, by introducing improved estimators for the coskewness and cokurtosis parameters. In an empirical analysis, we find that the use of these enhanced estimates leads to significantly better out-of-sample performance.

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Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu]

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

EDHEC Working Paper
[Texte intégral - en anglais
29 pages - 1,24 Mo]

rédigé par STEPHANE COLOMBANI
mise à jour le 1 septembre 2008

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